CTRE Options History — January 2021

In January 2021, CTRE traded between $21.52 and $23.25. ATM implied volatility averaged 35.6%, placing in the 7.8% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 5.3% (HV 20d: 30.2%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.99.

Notable Days

2021-01-19: Highest Volume — 179 contracts
2021-01-27: Largest IV spike — 64.3% change
2021-01-27: Highest IV Rank — 12.6%
2021-01-27: Largest Expected Move — 13.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.52	$21.52	$23.25	$21.52	$22.27
Max Pain	$22.50	$22.50	$22.50	$22.50	$22.50
ATM IV	35.6%	27.7%	46.7%	36.9%	39.1%
Expected Move	10.5%	8.1%	13.4%	11.5%	11.2%
HV 20d	30.2%	27.4%	33.9%	28.8%	33.6%
HV 60d	33.8%	32.1%	34.9%	33.2%	33.7%
IV Rank	7.8%	3.4%	12.6%	10.0%	8.6%
IV Percentile	27.0%	9.1%	54.4%	31.3%	33.3%
Term Structure	5.0%	-7.4%	19.7%	-2.7%	3.7%
VWIV	36.5%	29.1%	43.9%	36.0%	37.9%
Skew 25d	6.7%	-11.3%	18.9%	7.8%	-11.3%
Skew 10d	-2.3%	-34.5%	42.4%	-4.4%	-20.1%
Call IV 25d	30.5%	19.5%	44.4%	28.4%	38.5%
Put IV 25d	37.2%	27.2%	42.3%	36.2%	27.2%
Bid-Ask Spread %	112.84	98.28	122.35	114.64	119.24
Gamma HHI	0.73	0.47	0.96	0.89	0.49
Net GEX	161.5K	36.8K	419.2K	138.9K	46.9K
Net DEX	-1.3M	-2.6M	-626.6K	-1.1M	-687.7K
Net VEX	-4.1K	-4.5K	-3.4K	-4.2K	-4.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.99	0.00	7.50	0.19	0.00
Total Volume	44.579	7	179	19	55
Total OI	1,886.474	1,103	2,522	2,310	1,485

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2021-01-04	$21.52	$22.50	36.9%	11.5%	28.8%	10.0%	36.0%	7.8%	-2.7%	138.9K	-1.1M	-4.2K	0.19	114.64	16	3	1,839	471
2021-01-05	$22.18	$22.50	27.7%	9.2%	29.4%	4.8%	0.0%	15.5%	-3.9%	221.3K	-1.8M	-4.5K	0.00	119.67	7	0	1,848	474
2021-01-06	$22.71	$22.50	31.0%	8.8%	30.0%	6.1%	0.0%	4.2%	6.4%	219.9K	-2.1M	-4.5K	0.06	118.52	16	1	1,854	474
2021-01-07	$21.86	$22.50	29.4%	10.3%	33.6%	5.3%	0.0%	-2.7%	-0.6%	195.4K	-1.4M	-4.2K	0.20	114.63	15	3	1,867	474
2021-01-08	$22.30	$22.50	32.1%	11.8%	33.9%	6.7%	38.9%	-0.8%	-1.5%	226.8K	-1.7M	-4.4K	0.06	109.03	18	1	1,878	475
2021-01-11	$22.24	$22.50	28.8%	10.0%	33.9%	5.0%	0.0%	12.2%	3.9%	303.9K	-1.5M	-4.0K	7.50	120.13	4	30	1,892	476
2021-01-12	$22.74	$22.50	42.6%	8.6%	30.2%	11.2%	30.5%	5.3%	10.8%	235.2K	-2.1M	-4.0K	0.33	116.55	6	2	1,874	496
2021-01-13	$22.97	$22.50	39.2%	11.2%	30.3%	9.5%	39.1%	11.1%	-5.4%	269.4K	-2.6M	-3.7K	0.75	99.73	16	12	1,874	498
2021-01-14	$22.71	$22.50	43.6%	12.5%	29.0%	11.8%	40.9%	11.1%	17.1%	419.2K	-2.3M	-3.6K	3.53	107.23	32	113	1,872	510
2021-01-15	$22.44	$22.50	28.1%	8.1%	28.6%	4.0%	0.0%	16.2%	9.4%	417.4K	-1.7M	-3.6K	1.81	115.95	16	29	1,899	623
2021-01-19	$22.43	$22.50	42.0%	12.0%	28.3%	10.9%	43.9%	9.1%	-7.4%	36.8K	-637.0K	-3.4K	1.98	107.04	60	119	795	308
2021-01-20	$22.71	$22.50	33.4%	9.6%	28.4%	6.2%	33.3%	17.6%	1.8%	44.1K	-831.9K	-4.0K	0.02	109.01	59	1	844	427
2021-01-21	$22.71	$22.50	38.6%	11.1%	27.9%	8.9%	34.1%	18.9%	12.8%	42.6K	-813.6K	-4.3K	0.26	108.60	19	5	895	428
2021-01-22	$22.89	$22.50	38.5%	11.0%	28.0%	8.8%	38.4%	4.1%	8.5%	45.6K	-867.9K	-4.2K	0.00	101.89	25	0	910	433
2021-01-25	$22.99	$22.50	33.8%	9.7%	27.4%	6.5%	33.3%	1.6%	-0.9%	54.0K	-946.9K	-4.2K	0.36	98.28	11	4	921	433
2021-01-26	$23.25	$22.50	28.4%	8.1%	27.6%	3.4%	29.1%	3.9%	10.1%	55.6K	-1.0M	-4.2K	0.14	122.35	76	11	932	435
2021-01-27	$22.22	$22.50	46.7%	13.4%	32.2%	12.6%	38.9%	-5.1%	14.0%	40.7K	-626.6K	-4.4K	0.83	119.20	30	25	1,002	446
2021-01-28	$22.73	$22.50	36.3%	10.4%	33.2%	7.2%	37.9%	8.9%	19.7%	54.1K	-941.9K	-4.3K	0.75	122.23	4	3	1,026	455
2021-01-29	$22.27	$22.50	39.1%	11.2%	33.6%	8.6%	0.0%	-11.3%	3.7%	46.9K	-687.7K	-4.3K	0.00	119.24	55	0	1,028	457